Uncertainty aversion, robust control and asset holdings

DOI10.1080/14697688.2011.637077zbMath1398.91552OpenAlexW1595456375MaRDI QIDQ4683052

Giannis Vardas, Anastasios Xepapadeas

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://economics.soc.uoc.gr/wpa/docs/Vardas_Xepapad_Subm_JET_Feb04.pdf

zbMATH Keywords

robust controluncertainty aversionmodel misspecificationportfolio choice models

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

Stochastic differential game for management of non-renewable fishery resource under model ambiguity ⋮ Robust policy schemes for differential R\&D games with asymmetric information

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